Come on guys, you can not be that busy at this time of the year!

<t>You also have to consider that in a default scenario, zero coupon bonds might be treated in a different fashion. Even if you assume the same recovery rate the "accrued nominal" of the zero coupon bonds will be lower (than regular bond). I presume the difference between recovery values will pretty...

<t>Hi guys, I was wondering if any of you have a second to look at a spreadsheet with a jump-to-default analysis on a single bond and check the results. It is a very simple exercise assuming a constant hazard rate but before moving to something more complex (time-varying h or dynamic h) I wanted to ...

Hi wilmotters, I am trying to re-price the Greek curve using the CDS (USD denominated), but I am not sure which parameters to use for the quanto-adjustment. Any comment will be really appreciated.

I am also interested in this subject.